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Decomposition of the realized rate of return on investment in fixed-income securities
(2007-05-22)Paper presents decomposition of the realized rate of return on investment in fixed-income securities in order to identify the income/risk sources. The decomposition is accomplished applying the concept of factorization and ... -
Equilibrium foreign currency mortgages
(2016-12)This paper proposes a novel explanation for why foreign currency denominated loans to households have become so popular in some emerging economies. Our argument is based on what we call the debt limit channel, which arises ...